Waiting-time distribution for a stock-market index

TL;DR

This paper analyzes the waiting-time distribution of absolute returns in the Korean KOSPI index, revealing power-law behavior with two scaling regimes and threshold-independent exponents at late times.

Contribution

It introduces a detailed analysis of waiting-time distributions in a stock index, identifying power-law regimes and the effects of thresholds and return times.

Findings

Waiting-time distribution follows a power-law with two regimes.

Crossover time is approximately 200 minutes.

Exponents decrease with increasing return time.

Abstract

We investigate the waiting-time distribution of the absolute return in the Korean stock-market index KOSPI. We define the waiting time as a time interval during which the normalized absolute return remains continuously below a threshold $r_c$. Through an exponential bin plot, we observe that the waiting-time distribution shows power-law behavior, $p_f (t) \sim t^{-\beta}$, for a range of threshold values. The waiting-time distribution has two scaling regimes, separated by the crossover time $t_c \approx 200$ min. The power-law exponents of the waiting-time distribution decrease when the return time $\Delta t$ increases. In the late-time regime, $t > t_c$, the power-law exponents are independent of the threshold to within the error bars for fixed return time.